Test your knowledge

The portfolio and benchmark exposures to Italy and Germany are matched
The portfolio is overweight Italy and underweight Germany
The portfolio is overweight Germany and underweight Italy
Any of the options above could be true – you cannot tell
Allow the price history to build up over the year. For historical periods prior to issuance use no movement in prices as there is no history.
Use the price history of a recent bond with same maturity from a similar (sector and rating) issuer.
Use the price history of a 10-year bond from the same issuer which was issued some time ago
Use movements in interest rate and credit spread curves as drivers of simulated moves.
Both components reduce due to diversification but the credit spread component reduces more quickly
Both components reduce due to diversification but the interest rate component reduces more quickly
The credit spread risk goes up due to the increase in number of issuers but the rate risk is constant
Both components are unchanged
Factor volatilities and correlations
Market risk premium and individual issue Beta
Interest rate moves, credit spread moves, inflation moves, carry
Expected returns, rating factors, issuer leveragee

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